Hover over the links for details on some connections. Dots indicate ‘special cases of’. Undirected connections suggest equivalence (≡ on hover) or a more complex relationship (usually for more general/more complex models). Note this is for a quick reference, not an exhaustive one.
Note that covariance functions are written identically in slightly different ways in different sources, and this is just one representation. See the Rasmussen and Williams link for details.
\[h^2\frac{2^{1-\nu}}{\Gamma(\nu)}(2\sqrt{\nu}\frac{|x_i-x_j|}{\lambda})\mathcal{B}_\nu(2\sqrt{\nu}\frac{|x_i-x_j|}{\lambda})\]
\(\lambda\) = horizontal/input length-scale
\(h\) = vertical/output length-scale
\(\nu\) = controls differentiability
\(\Gamma\) = Gamma function
\(\mathcal{B}\) = modified Bessel function of the second kind
GP: Gaussian process
Matern: Matern covariance structure
Exp: exponential covariance structure \(h^2\exp(-\frac{|x_i-x_j|}{\lambda})\)
SqExp: squared exponential covariance structure \(h^2\exp[-(\frac{|x_i-x_j|}{\lambda})^2]\)
RQ: rational quadratic covariance structure \(h^2(1 + \frac{|x_i-x_j|^2}{\alpha\lambda^2})^{-\alpha}\)
Other: other covariance functions
OU: Ornstein-Uhlenbeck process
GAM: generalized additive models
Splines: piecewise polynomial, regression splines
SVM: support vector machines
NN: neural networks
RKHS: reproducing kernel hilbert space